Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Xinyu Wu, Xiaona Wang
| Year of publication: |
2020
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|---|---|
| Authors: | Wu, Xinyu ; Wang, Xiaona |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 34.2020, p. 1-7
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| Subject: | Continuous particle filter | Linear spline | Realized volatility measure | Stochastic volatility | Time-varying leverage effect | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.08.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012436997